A convex-risk-measure based model and genetic algorithm for portfolio selection

DOI10.1155/2015/451627MaRDI QIDQ1665701zbMATH OpenOpenAlexWikidataFDO

Authors Jie Hu, Ning Dong, Weijia Wang

Publication date 27 August 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2015/451627

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 735224 (Why is no real title available?)
• A new class of coherent risk measures based on p‐norms and their applications
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Convex risk measures for portfolio optimization and concepts of flexibility
• Economic Capital Allocation Derived from Risk Measures
• Generalized deviations in risk analysis
• Reflections on gains and losses: a \(2 \times 2 \times 7\) experiment
• Risk measures via \(g\)-expectations
• Tail nonlinearly transformed risk measure and its application

Cited in

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• Optimal portfolio selection by CVAR based Sharpe ratio -- genetic algorithm approach

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